Saturday, 28 December 2013

The basic principle of hotelling transform is the statistical properties of vector
representation. Consider a population of random vectors of the form,

And the mean vector of the population is defined as the expected value of x i.e.,

mx = E{x}

The suffix m represents that the mean is associated with the population of x vectors. The
expected value of a vector or matrix is obtained by taking the expected value of each elememt.
The covariance matrix Cx in terms of x and mx is given as